Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 1 1 1
Score -7.88 -5.12 -8.39
Market Cap (Millions USD) 525.85 554.14 570.61
Predicted Beta 0.08 0.08 0.1
Idiosyncratic Volatility 1.78 2.1 3.19

Annualized return and volatility

IGE
Annualized Return 0.0562
Annualized Std Dev 0.2620
Annualized Sharpe (Rf=0%) 0.2143

Row

Daily Return Statistics

IGE
Observations 4630.0000
NAs 484.0000
Minimum -0.1608
Quartile 1 -0.0072
Median 0.0003
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0088
Maximum 0.1648
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0165
Skewness -0.1991
Kurtosis 9.9034

Downside Risk

IGE
Semi Deviation 0.0120
Gain Deviation 0.0114
Loss Deviation 0.0128
Downside Deviation (MAR=210%) 0.0165
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.6154
Historical VaR (95%) -0.0249
Historical ES (95%) -0.0393
Modified VaR (95%) -0.0244
Modified ES (95%) -0.0393
From Trough To Depth Length To Trough Recovery
2008-05-21 2008-11-20 2014-06-12 -0.6154 1553 132 1421
2014-06-24 2016-01-20 NA -0.5117 1411 405 NA
2002-04-03 2002-10-09 2003-12-17 -0.3146 442 135 307
2006-05-11 2006-06-13 2007-03-29 -0.1806 225 23 202
2008-01-04 2008-01-23 2008-04-16 -0.1615 72 13 59

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IGE
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA 0.0 0.0 NA
2002 0.0 0.7 0.0 0.9 0.0 0.0 -2.3 0.0 4.5 2.1 0.0 0.0 6.0
2003 0.0 0.0 1.7 -0.1 0.0 -0.7 -0.3 0.0 1.2 0.0 1.3 0.0 3.2
2004 0.0 2.0 -0.6 0.0 1.1 -0.3 0.0 1.4 1.2 -0.6 -1.5 0.0 2.7
2005 1.4 -1.5 1.9 0.0 1.6 1.8 1.1 2.1 0.0 0.3 2.7 0.0 12.1
2006 -1.4 1.8 0.0 1.3 0.2 0.0 0.3 1.2 0.0 -1.0 0.4 0.0 2.9
2007 0.9 -0.1 0.0 0.2 1.1 0.0 -0.8 0.0 1.3 -2.2 0.0 0.0 0.3
2008 1.8 0.0 1.3 -1.7 0.0 0.6 -0.3 0.0 -2.4 0.0 -10.6 0.0 -11.2
2009 0.0 0.0 2.5 3.5 3.2 0.2 0.0 -2.1 -3.6 0.0 1.8 0.0 5.4
2010 4.0 1.3 2.3 0.0 -3.9 -0.8 0.0 3.2 1.4 0.4 2.9 0.0 11.0
2011 1.6 -1.3 0.2 0.0 -2.6 0.8 0.0 -0.7 0.0 -3.1 -0.5 0.0 -5.7
2012 0.6 1.2 0.0 1.1 -1.6 0.0 0.2 0.0 0.5 0.6 0.0 0.0 2.7
2013 1.1 -0.5 -0.6 -1.7 0.0 0.9 1.5 0.0 0.7 -0.6 0.0 0.0 0.7
2014 0.0 0.0 0.5 -0.4 0.0 0.1 -0.8 0.0 -1.9 0.0 0.1 0.0 -2.4
2015 0.0 0.0 0.5 0.3 -0.4 -1.2 0.0 -3.5 0.1 0.0 0.9 0.0 -3.4
2016 -1.7 1.7 -1.4 0.0 0.2 1.1 -2.8 0.2 0.0 0.0 0.1 0.0 -2.7
2017 -0.4 1.7 0.0 -0.4 0.8 0.0 -0.2 1.1 0.0 1.1 0.9 0.0 4.6
2018 0.5 -0.2 0.0 -0.3 0.4 0.0 -1.2 0.0 1.5 1.5 0.0 0.0 2.3
2019 0.8 1.3 1.3 -2.0 0.0 -0.1 -1.7 0.0 -2.0 2.1 0.0 0.2 -0.3

Row

Rolling Performance Chart

Snail Trail Chart